在綫閱讀本書
Stochastic Calculus for Finance evolved from the first ten years of the Carnegie Mellon Professional Master's program in Computational Finance. The content of this book has been used successfully with students whose mathematics background consists of calculus and calculus-based probability. The text gives both precise statements of results, plausibility arguments, and even some proofs, but more importantly intuitive explanations developed and refine through classroom experience with this material are provided. The book includes a self-contained treatment of the probability theory needed for stochastic calculus, including Brownian motion and its properties. Advanced topics include foreign exchange models, forward measures, and jump-diffusion processes. This book is being published in two volumes. This second volume develops stochastic calculus, martingales, risk-neutral pricing, exotic options and term structure models, all in continuous time. Master's level students and researchers in mathematical finance and financial engineering will find this book useful.
具體描述
讀後感
shreve的新作当然值得一看，不过“边疆时间模型”太搞笑了，这么弱智的翻译居然没有改正，而且主标题也应是“金融随机微积分”。
評分Duffie写了一篇长文推荐该书，论述严谨，见解深刻，行文又尽力使人容易理解，可谓难得。缺少了最优投资组合、市场均衡等内容，经济学味道淡些，但这也说明那些内容对业界不是那么重要，从金融危机的情况看，这类经济学传统理论基本上不管用。
評分Duffie写了一篇长文推荐该书，论述严谨，见解深刻，行文又尽力使人容易理解，可谓难得。缺少了最优投资组合、市场均衡等内容，经济学味道淡些，但这也说明那些内容对业界不是那么重要，从金融危机的情况看，这类经济学传统理论基本上不管用。
評分如果作为入门的话，显然Okesendal的书或者 Arbitrage Theory in Continuous time甚至John Hull的书都更加适合对随机分析进行入门和直观的理解。 如果仅有概率论基础的话，读此书很容易陷入各种数学推导和难以直观理解的定义里，建议对随机分析一定直观理解之后再读此书好些。
評分在图书馆里偶然看到了它的中译本，翻译的很严肃，很好。 长久以来就有好些想厘清的东西，但大多数同类的书都是互相抄来抄去，没有真正能讲明白，能让不懂的人看懂的。只有它是试图把那些东西放在一起努力给你讲明白，冲作者这份苦心读着就很舒服，感觉就像过了电一样。 ...
用戶評價
非常非常好的書。不過感覺作者考慮到書的難度，很多證明和推導還是有意識的省略瞭細節，美式期權的部分寫得也不如離散模型那本書思路那麼清晰。不過的確是收獲頗豐。
评分寫得超級無敵好！！終於覺得自己學懂瞭啊
评分It's the bible for math finance people, but not enough if you are really serious about math finance.
评分看完書後思路各種清晰！
评分專業書，痛苦的看
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